DOCSLIB.ORG

An Evaluation of Economic Efficiency of Finnish Regions by Dea and Tobit Models* **

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
An Evaluation of Economic Efficiency of Finnish Regions by Dea and Tobit Models* ** AN EVALUATION OF ECONOMIC EFFICIENCY OF FINNISH REGIONS BY DEA AND TOBIT MODELS* ** Heikki A. Loikkanen Department of Economics FIN-00014 University of Helsinki, Finland [email protected] Ilkka Susiluoto Department of Economics FIN-00014 University of Helsinki, Finland [email protected] Abstract: In the first phase of the study, private sector economic efficiency scores for 83 Finnish regions in 1988-1999 were estimated by the Data Envelopment Analysis (DEA) method. Inputs in the DEA analysis included capital stock, employment by education level, years of schooling and volume of local public sector activity. Outputs were regional value added and personal direct real income from employment. Efficiency differences between regions proved to be considerable and they were correlated with several regional factors. In the second phase the differences in the efficiency scores were explained by using Tobit and logistic regression models. In these cross-section models (1988, 1993, 1999 and average of 1988-1999) the explanatory variables included regional characteristics such as population size, distance from national centres, structure of regional economy (concentration), the existence of university, number of students, accessibility index, innovativity index and the number of patents. * Paper prepared for the 42st Congress of the European Regional Science Association, Dortmund, Germany, 27. – 31.8. 2002 ** Preliminary version, not to be quoted without the permission of the authors. 1. Introduction The purpose of this paper is to present some results concerning economic performance of Finnish regions. More specifically, we study inter-regional differences in private sector efficiency (or productivity). Our data consists of regional input and output variables and other regional characteristics concerning 83 NUTS 4-level regions in Finland during the period 1988-1999. We use a two stage modelling approach. In the first stage we apply non-parametric programming techniques by using Data Envelopment Analysis (DEA). By applying DEA for each year in our study period we get annual efficiency scores for regions. Fully efficient regions get a score of one and other ones below one. In the second stage we explain (in)efficiency differences between regions with econometric methods by applying logistic regression and Tobit models. In this stage the explanatory variables are different from the DEA stage, describing the environment of productive activity (indirect inputs or externality effects), rather than direct inputs. Empirically the period 1988-99 is very exceptional in Finnish economic history. In the end of 1980s favourable international economic developments and financial deregulation lead to a boom, which was followed by a deep crisis. Unfavourable international developments, fall of exports to the former Soviet Union, domestic currency and bank crises, and pursued economic policies led to a cumulative decline of GDP of more than 10 per cent in 1991-93. Unemployment, which had been below 5 per cent in the end years of 1980s, sky rocketed to 17 per cent. From 1995 on economic growth has been exceptionally fast and the structure of the economy has changed, as IT industries have been the fastest growing sectors. Despite favourable developments unemployment has remained at high level. Also regionally recent growth has been less evenly distributed than earlier. Fewer urban areas than earlier are attracting new investment and gaining from net migration. Thus it is of interest to see whether efficiency differences obtained from DEA in early, middle and end part of the period 1988- 99 differ. On the other hand, we estimate logistic regressions and Tobit models both to explain average scores during the whole period and also study the years 1988, 1993 and 1999 separately. We want to shed light on these developments by studying regionally the relation between value added of private non-residential sector and/or taxable income, and input factors including capital stock, labour force, regional knowledge base and volume of public sector activity. This paper is organized as follows. In section 2 we describe briefly the main features of the Data Envelopment Analysis method. In section 3, data sources, as well as input and output variables are introduced. In this connection we also present the models to be employed. In section 4 we present some empirical results concerning efficiency differences across Finnish regions. In section 5 we introduce the econometric models, namely the Tobit model and logistic (log odds) regression model, which are used to explain (in)efficiency differences. Results from econometric models are presented in section 6. Section 7 offers some conclusions. 2. Data Envelopment Analysis The Data Envelopment Analysis (DEA) method of measuring (in)efficiency is fundamentally based on the work by Farrell (1957) which was further elaborated by Charnes et al. (1978) and Banker et al. (1984). This approach (see e.g. Färe et al.1985) has been widely used in empirical efficiency (or productivity) analysis especially in cases where the units (DMUs) use multiple inputs to produce multiple outputs, and there are problems in defining weights and/or specifying functional forms to be employed in analysis. As DEA does not require input or output prices in determining empirical efficiency frontiers based on best practise technology and related measures of inefficiency, it has become especially popular in the study of public sector. In the last few years several regional applications of DEA have emerged. Charnes et al. (1989) studied the economic performance of 28 China’s cities in 1983 and 1984. Chang et al. (1995) use DEA and the Malmquist productivity index approach to study the economic performance of 23 regions in Taiwan in 1983 and 1990. Tong applied DEA to investigate the changes in production efficiency of 29 Chinese provinces in two papers with somewhat different emphasis (Tong 1996, 1997). Bernard and Cantner (1997) calculate the efficiency of the 21 French provinces in 1978- 1989. In a recent study, Maudos, Pastor and Serrano (2000) analyse the relationship between efficiency and production structure in Spain 1964-93. Regional aspects are present also in several DEA studies, which concern agricultural productivity, see Weaver (1984), Mao and Koo (1997) or Millan and Aldaz (1998). To keep this paper short, we shall not present mathematically the linear programming background for DEA. We will instead graphically describe a basic case of the method. Four decision making units are described in Figure 1 below; these are the points A, B, C and D. The DMUs use one input X to produce one output Y. Either constant returns to scale (CRS) or variable returns to scale (VRS) can be assumed for the production possibility frontier. In practical research several inputs and possibly more than one output are used, creating a multidimensional situation. Under CRS, the most efficient unit is B, for which the tangent of the angle measured from the origin (output/input) is greatest (Y B / XB ). Accordingly, the efficiency frontier under CRS is the line OO. Compared with B, points A, C and D are clearly inefficient. Point D for example uses more of the input (X D ) to produce less of the output (Y D ) than point B. In order to be efficient, only X F should be used to produce YD , or alternatively YI should be produced with input use XD . From this we get XF /X D as the relative efficiency of D in the input direction; in the output direction the efficiency score is Y D /Y I . Under CRS these two ratios are equal, or (X F /X D ) = (Y D /Y I ). Under VRS the efficiency frontier passes through the points A, B and C. Consequently the relative efficiency of D is XE /X D in the input direction and YD /Y H in the output direction, these ratios being generally unequal. In VRS efficiency can be further decomposed into scale efficiency and technical efficiency. Scale efficiency relates the size of the DMU to optimal size; in the input direction it is given by the ratio (efficient input use under CRS)/(efficient input use under VRS), or X F /X E in figure 1. Similarly, scale efficiency in the output direction is Y H /Y I . This efficiency loss is due to the inoptimal size of the DMU. The rest of the inefficiency of D is technical inefficiency, measured by X E /X D in the input direction, or Y D /Y H in the output direction. Figure 1. Efficiency of decision making units in DEA, basic case Output Y O CRS Y I I C VRS Y H H Y B B F E Y D D A O X F X E X B X D Input X Finally, the change in total factor productivity of each DMU can be calculated in DEA, using the so- called Malmquist index approach. This change can be further decomposed into the change in the relative position of the DMU with respect to the efficiency frontier (PPF), and to the movement of PPF itself. For this, see Cooper, Seiford and Tone (2000). 3. Data and models in the DEA estimation of regional efficiency scores In the first phase of the study, the DEA method was used to estimate regional efficiency scores for the 83 regions for 1988-99. Real value added in the business sector was used as the main output variable. Public sector, non-profit organisations and the residential sector were excluded. Direct real income from private production was used as another output measure, consisting of wages, income from business, trade and profession, and agriculture. Pensions, income originating in the public sector and capital income were excluded. Differences in regional consumption price levels were taken into account. Consequently the figures describe real regional purchasing power of the income earned. On the input side business sector real capital stock was used as a main variable together with the number of employed.
Load more

Recommended publications
  • A Comparison of Methods for Analyzing Health-Related Quality-Of
    View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Elsevier - Publisher Connector Volume 5 • Number 4 • 2002 VALUE IN HEALTH A Comparison of Methods for Analyzing Health- Related Quality-of-Life Measures Peter C. Austin, PhD Institute for Clinical Evaluative Sciences, North York, Ontario; Department of Public Health Sciences, University of Toronto,Toronto, Canada ABSTRACT Objectives: Self-reported health status is often measured Survey. The results are compared to three models that using psychometric or utility indices that provide a score ignore the presence of a ceiling effect. intended to summarize an individual’s health. Measure- Results: The Censored LAD model produced coefficient ments of health status can be subject to a ceiling effect. estimates that tended to be shrunk toward 0, compared Frequently, researchers want to examine relationships to the other two models. The three models produced con- between determinants of health and measures of health flicting evidence on the effect of gender on health status. status. Regression methods that ignore the censoring in Similarly, the rate of decay in health status with increas- the health status measurement can produce biased coeffi- ing age differed across the three models. The Censored cient estimates. The authors examine the performance LAD model produced results very similar to median of three different models for assessing the relationship regression. Furthermore, the censored LAD model had between demographic characteristics and health status. the lowest prediction error in an independent validation Methods: Three methods that allow one to analyze data dataset. subject to a ceiling effect are compared.
    [Show full text]
  • Working Paper No. 572 the Unequal Burden of Poverty on Time Use
    Working Paper No. 572 The Unequal Burden of Poverty on Time Use by Burca Kizilirmak Ankara University and Emel Memis The Levy Economics Institute and Ankara University August 2009 The authors gratefully acknowledge the Gender Equality and the Economy (GEE) program of The Levy Economics Institute for providing the data set used in the empirical analysis. They also wish to extend my sincere appreciation to Rania Antonopoulos, director of the GEE program for steering them in this research area, and for her useful comments throughout. Comments may be sent to the authors at [email protected] and [email protected]. The Levy Economics Institute Working Paper Collection presents research in progress by Levy Institute scholars and conference participants. The purpose of the series is to disseminate ideas to and elicit comments from academics and professionals. The Levy Economics Institute of Bard College, founded in 1986, is a nonprofit, nonpartisan, independently funded research organization devoted to public service. Through scholarship and economic research it generates viable, effective public policy responses to important economic problems that profoundly affect the quality of life in the United States and abroad. The Levy Economics Institute P.O. Box 5000 Annandale-on-Hudson, NY 12504-5000 http://www.levy.org Copyright © The Levy Economics Institute 2009 All rights reserved. ABSTRACT This study uses the first time-use survey carried out in South Africa (2000) to examine women’s and men’s time use, with a focus on the impacts of income poverty. We empirically explore the determinants of time spent on different paid and unpaid work activities, including a variety of household and individual characteristics, using bivariate and multivariate Tobit estimations.
    [Show full text]
  • Inflation Expectations and Choices of Households
    A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Vellekoop, Nathanael; Wiederholt, Mirko Working Paper Inflation expectations and choices of households SAFE Working Paper, No. 250 Provided in Cooperation with: Leibniz Institute for Financial Research SAFE Suggested Citation: Vellekoop, Nathanael; Wiederholt, Mirko (2019) : Inflation expectations and choices of households, SAFE Working Paper, No. 250, Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M., http://dx.doi.org/10.2139/ssrn.3383452 This Version is available at: http://hdl.handle.net/10419/196146 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen
    [Show full text]
  • HEDS Discussion Paper 10/08
    HEDS Discussion Paper 10/08 Disclaimer: This is a Discussion Paper produced and published by the Health Economics and Decision Science (HEDS) Section at the School of Health and Related Research (ScHARR), University of Sheffield. HEDS Discussion Papers are intended to provide information and encourage discussion on a topic in advance of formal publication. They represent only the views of the authors, and do not necessarily reflect the views or approval of the sponsors. White Rose Repository URL for this paper: http://eprints.whiterose.ac.uk/11074/ Once a version of Discussion Paper content is published in a peer-reviewed journal, this typically supersedes the Discussion Paper and readers are invited to cite the published version in preference to the original version. Published paper Value Health. 2012 May;15(3):550-61. Epub 2012 Mar 23. White Rose Research Online [email protected] - 1 - - 2 - Tails from the Peak District: Adjusted Censored Mixture Models of EQ-5D Health State Utility Values Monica Hernandez Alava, Allan J. Wailoo, Roberta Ara Health Economics & Decision Science, School of Health and Related Research, University of Sheffield July 20l0 ABSTRACT: Health state utility data generated using the EQ-5D instrument are typically right bounded at one with a substantial gap to the next set of observations, left bounded by some negative value, and are multi modal. These features present challenges to the estimation of the effect of clinical and socioeconomic characteristics on health utilities. We present an adjusted censored model and then use this in a flexible, mixture modelling framework to address these issues.
    [Show full text]
  • The Impact of Households' Characteristics on Food at Home
    The Impact of Households’ Characteristics on Food at Home and Food away from Home By GwanSeon Kim Department of Agricultural Economics University of Kentucky ([email protected]) Phone: 662-617-5501 Sayed Saghaian Department of Agricultural Economic University of Kentucky ([email protected]) Phone: 859-257-2356 Selected Paper prepared for presentation at the Southern Agricultural Economics Association’s 2016 Annual Meeting, San Antonio, Texas, February, 6‐9 2016 Copyright 2016 by GwanSeon Kim and Sayed Saghaian. All rights reserved. Readers may make verbatim copies of this document for non‐commercial purposes by any means, provided that this copyright notice appears on all such copies. Introduction Food, clothing, and housing are essential factors for a good life, but food is the most important component due to the fact that it is directly related to human health. According to the Food and Agriculture Organization (FAO) and International Fund for Agricultural Development (IFAD), approximately 805 million people in the world do not have enough food to eat (Food, et al., 2014). More than 200 diseases occur and up to 9,000 deaths are estimated each year in the U.S due to insufficient food (Mead, et al., 1999). Based on the United States Department of Agriculture, Food and Nutrition Service (USDA. FNS, 2008), Food and Nutrition Act of 2008 provides better levels of nutrition for low-income households from federal-state programs such as the Supplemental Nutrition Assistance Program (SNAP), also called the food stamp program. The U.S. Bureau of Labor Statistics (BLS, 2015) reports that the percentage changes on average annual food expenditure between 2013 and 2014 are -0.2% for food at home and 6.2% for food away from home, respectively.
    [Show full text]
  • Tobit Or Not Tobit?
    IZA DP No. 4588 Tobit or Not Tobit? Jay Stewart November 2009 DISCUSSION PAPER SERIES Forschungsinstitut zur Zukunft der Arbeit Institute for the Study of Labor Tobit or Not Tobit? Jay Stewart U.S. Bureau of Labor Statistics and IZA Discussion Paper No. 4588 November 2009 IZA P.O. Box 7240 53072 Bonn Germany Phone: +49-228-3894-0 Fax: +49-228-3894-180 E-mail: [email protected] Any opinions expressed here are those of the author(s) and not those of IZA. Research published in this series may include views on policy, but the institute itself takes no institutional policy positions. The Institute for the Study of Labor (IZA) in Bonn is a local and virtual international research center and a place of communication between science, politics and business. IZA is an independent nonprofit organization supported by Deutsche Post Foundation. The center is associated with the University of Bonn and offers a stimulating research environment through its international network, workshops and conferences, data service, project support, research visits and doctoral program. IZA engages in (i) original and internationally competitive research in all fields of labor economics, (ii) development of policy concepts, and (iii) dissemination of research results and concepts to the interested public. IZA Discussion Papers often represent preliminary work and are circulated to encourage discussion. Citation of such a paper should account for its provisional character. A revised version may be available directly from the author. IZA Discussion Paper No. 4588 November 2009 ABSTRACT Tobit or Not Tobit?* Time-use surveys collect very detailed information about individuals’ activities over a short period of time, typically one day.
    [Show full text]
  • Consumer Demand Analysis When Zero Consumption Occurs: the Case of Cigarettes (TB-1792)
    United States Department of WJ Agriculture Consumer Demand Analysis When Zero Technical Bulletin Number 1792 Consumption Occurs The Case of Cigarettes James R. Blaylock William N. Blisard yjfèè It's Easy To Order Another Copy! Just dial 1-800-999-6779. Toll free in the United States and Canada. Other areas, please call 1-301-725-7937. Ask for Consumer Demand Analysis When Zero Consumption Occurs: The Case of Cigarettes (TB-1792). The cost is $8.00 per copy. For non-U.S. addresses (includes Canada), add 25 percent. Charge your purchase to your VISA or MasterCard, or we can bill you. Or send a check or purchase order (made payable to ERS-NASS) to: ERS-NASS P.O. Box 1608 Rockville, MD 20849-1608. We'll fill your order by first-class mail. Consumer Demand Analysis When Zero Consumption Occurs: The Case of Cigarettes. By James R. Blaylock and William N. Blisard. Commodity Economics Division, Economic Research Service, U.S. Department of Agriculture. Technical Bulletin No. 1792. Abstract Analysts use household survey information when attempting to model the demand for certain commodities. However, many individuals do not purchase or use specific agricultural commodities during a survey period. This presents a problem for analysts because it is unclear what the zero purchase implies. It could mean that the individual never uses the product or that the survey period was too short. Or perhaps the individual would use the product if the price were lower. By focusing on a specific commodity with well-known characteristics and patterns of use, cigarettes, we are able to examine methods of treating zero observations.
    [Show full text]
  • The Tobit Model ML Estimation for the Tobit Model Summary
    Motivation: The Female Labour Supply The Married Women Labor Supply and the Tobit Model ML Estimation for the Tobit Model Summary The Tobit Model Quantitative Microeconomics R. Mora Department of Economics Universidad Carlos III de Madrid R. Mora The Tobit Model Motivation: The Female Labour Supply The Married Women Labor Supply and the Tobit Model ML Estimation for the Tobit Model Summary Outline 1 Motivation: The Female Labour Supply 2 The Married Women Labor Supply and the Tobit Model 3 ML Estimation for the Tobit Model R. Mora The Tobit Model Motivation: The Female Labour Supply The Married Women Labor Supply and the Tobit Model ML Estimation for the Tobit Model Summary The House Allocation of Time in Real Life % Leisure Personal Household Market Married Women 13 47 30 10 Married Men 14 46 16 24 Unmarried Women 14 48 21 17 Unmarried Men 15 45 21 19 Source: University of Michigan, US data R. Mora The Tobit Model Motivation: The Female Labour Supply The Married Women Labor Supply and the Tobit Model ML Estimation for the Tobit Model Summary Time Allocation among Singles Jack is less productive In the Household Market Market Jill Jack Household Household R. Mora The Tobit Model Motivation: The Female Labour Supply The Married Women Labor Supply and the Tobit Model ML Estimation for the Tobit Model Summary Economic Theories on Marriage Principal-Agent Problem: taking care of the kids and the car by people you trust Scale Economies: the marginal kid hardly increases the costs Risk-Sharing: pooling resources reduces risks none of these economic channels explain why married women work mostly in the household R.
    [Show full text]
  • A New Approach to the Allocation of Aid Among Developing Countries: Is The
    A New Approach to the Allocation of Aid Among Developing Countries: Is the USA more Selfish than the Rest? Jane Harrigan * (Senior Lecturer, School of Economic Studies, University of Manchester) and Chengang Wang (Research Associate, School of Economic Studies, University of Manchester) Abstract: This paper attempts to explain the factors that determine the geographical allocation of foreign aid. It develops a theoretical model and uses panel data taking account of the truncated nature of the dependent variable. We run regressions for different groups of donors (USA, non-USA bilateral and multilateral). We find that all the donors respond to recipient need in their allocation of aid, but compared to the rest the USA puts less emphasis on need and more emphasis on donor interest e.g. geopolitical, commercial, and other links with specific recipients. We conclude that the USA is a more selfish aid donor than other bilateral and multilateral donors when allocating its aid. JEL Classification: F35, C23, C24. Key Words: Aid allocation; US aid; Probit model; Panel. * School of Economic Studies, University of Manchester, Manchester M13 9PL, UK, tel: 44 (161)275 824, Fax: 44 (161) 2754928, Email: [email protected] * Acknowledgement: The UK Department for International Development (DFID) supports policies, programmes and projects to promote international development. DFID provided funds for this study as part of that objective but the views and opinions expressed are those of the authors alone. Thanks to Bernard Walters for comments on an earlier draft. 1 A New Approach to the Allocation of Aid Among Developing Countries: Is the USA more Selfish than the Rest? I.
    [Show full text]
  • Does Public Spending Structure Affect the Efficiency of Spending? Evidence from a Panel Tobit Model for Chinese Provinces
    A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Ou, Zhirong; Zeng, Fuwen; Zhan, Xinyu Article Does public spending structure affect the efficiency of spending? Evidence from a panel tobit model for Chinese provinces International Journal of Management, Economics and Social Sciences (IJMESS) Provided in Cooperation with: International Journal of Management, Economics and Social Sciences (IJMESS) Suggested Citation: Ou, Zhirong; Zeng, Fuwen; Zhan, Xinyu (2020) : Does public spending structure affect the efficiency of spending? Evidence from a panel tobit model for Chinese provinces, International Journal of Management, Economics and Social Sciences (IJMESS), ISSN 2304-1366, IJMESS International Publishers, Jersey City, NJ, Vol. 9, Iss. 3, pp. 206-223, http://dx.doi.org/10.32327/IJMESS/9.3.2020.11 This Version is available at: http://hdl.handle.net/10419/224740 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen die in der dort Content Licence (especially Creative Commons Licences), you genannten Lizenz gewährten Nutzungsrechte.
    [Show full text]
  • Modelling Credit Risk with a Tobit Model of Days Past Due
    BANKA SLOVENIJE EVROSISTEM DELOVNI ZVEZKI BANKE SLOVENIJE/ BANK OF SLOVENIA WORKING PAPERS: MODELLING CREDIT RISK WITH A TOBIT MODEL OF DAYS PAST DUE Arjana Brezigar-Masten Igor Masten Matjaž Volk 1 / 2018 Title/Naslov: Modelling Credit Risk with a Tobit Model of Days Past Due No./Številka: 1/2018 Published by/Izdajatelj: BANKA SLOVENIJE Slovenska 35 1505 Ljubljana tel.: 01/+386 1 47 19 000 fax: 01/+386 1 25 15 516 e-mail: [email protected] http://www.bsi.si The BANK OF SLOVENIA WORKING PAPERS collection is drawn up and edited by the Bank of Slovenia’s Analysis and Research Department (Tel: +386 01 47 19680; Fax: +386 1 4719726; Email: [email protected]). The views and conclusions expressed in the papers in this publication do not necessarily reflect the official position of the Bank of Slovenia or its bodies. The figures and text herein may only be used or published if the source is cited. Zbirko DELOVNI ZVEZKI BANKE SLOVENIJE pripravlja in ureja Analitsko-raziskovalni center Banke Slovenije (telefon: 01/ 47 19 680, fax: 01/ 47 19 726, e-mail: [email protected]). Mnenja in zaključki, objavljeni v prispevkih v tej publikaciji, ne odražajo nujno uradnih stališč Banke Slovenije ali njenih organov. Uporaba in objava podatkov in delov besedila je dovoljena z navedbo vira. Kataložni zapis o publikaciji (CIP) pripravili v Narodni in univerzitetni knjižnici v Ljubljani COBISS.SI-ID=293665536 ISBN 978-961-6960-20-5 (pdf) Modelling Credit Risk with a Tobit Model of Days Past Due Arjana Brezigar-Masten1 Bank of Slovenia Igor Masten University of Ljubljana, Faculty of Economics, and Grant Thornton MatjaˇzVolk1 Bank of Slovenia Abstract In this paper we propose a novel credit risk modelling approach where number of days overdue is modelled instead of a binary indicator of default.
    [Show full text]
  • Econometric Features of Models Used in Aid Allocation Studies
    Econometric Features of Models Used in Aid Allocation Studies Swedish aid allocation - a comparison between a multiple linear regression, Heckman’s two step model and the Tobit model Sandra Ågren January 2019 Lund University Department of Statistics Bachelor Thesis (15 ECTS) Supervisor: Jonas Wallin Abstract Research of aid allocation deals with a dependent variable, received aid expressed in absolute or relative terms, that is equal to zero for numerous observations. This is because donor countries tend to target specific countries for their allocation, leaving the rest of the countries without any development assistance. The special characteristic requires non-linear methods with censoring, truncation or selection bias of the data. Using a panel covering Swedish aid recipient countries between 1998-2016, three commonly used models in aid allocation are examined; a multiple linear regression on a truncated data set, Heck- man’s two step model and the Tobit model. The models are estimated with a set of political and altruistic variables that are frequently used as explanatory factors to aid allocation, with share of Swedish aid as dependent variable. With around 13 % of the total observations below threshold, the models yield similar parameter estimations. The results from Heckman’s two step model and the multiple linear regression are almost, but not exactly, the same. This can partly be explained by the information each model has of the dependent variable, and partly by a small selection bias. In general, the parameters have approximately the same impact on the dependent variable. How- ever, the estimations in the Tobit model are slightly different from the other models.
    [Show full text]